Quantitative Brokers Introduces Cointegration
Model for Algorithmic Execution of Eurodollar
March 02, 2011 09:12 AM Eastern Time
NEW YORK--(EON: Enhanced Online News)--Quantitative Brokers, a fixed-income algorithmic executing
broker, released a cointegration model for clients trading Eurodollar futures using its Bolt and Strobe algorithms. The
model monitors the prices of the front two years of the Eurodollar complex to look for short-term departures from
equilibrium. It then generates a price prediction signal for each individual Eurodollar contract, which is dynamically
updated throughout the trading day and applied to the algorithms’ real-time order placement logic.
Quantitative Brokers developed the cointegration model by analyzing the historical pricing relationships of
neighboring interest rate contracts. "Because the relationships between the different Eurodollar prices are highly
dynamic, cointegration is key to determining optimal order placement,” said Robert Almgren, Quantitative Brokers'
co-founder and head of research. “Our execution algorithms combine the cointegration signal with other short-term
price signals to determine when to cross the spread, when to post on the inside quote, and when to post deep in the
While some short-term interest rate trading desks use similar models internally, Quantitative Brokers is the first to
offer a cointegration model in an agency broker algorithm. "Cointegration is a valuable concept in the interest rates
market, and we are the first to apply it into a broker algorithm," said co-founder and CEO Christian Hauff. “This
level of price prediction is a huge competitive advantage for our clients who trade Eurodollars. They can now expect
smarter executions and lower transaction costs.”
Quantitative Brokers is researching the expansion of the cointegration model to other highly-correlated contracts,
including US Treasury futures.
Quantitative Brokers’ algorithmic suite includes:
l BoltTM - Uses dynamic arrival price to intelligently execute urgent orders, attempting tobeat the bid-offer
l StrobeTM - Ideal for larger orders over longer durations, using the time or volume weighted average price as
l The RollTM - The first-ever algorithm custom built for the quarterly US Treasury futures roll.
Quantitative Brokers’ clients include CTAs, hedge funds, and bank trading desks.
Founded in 2008, Quantitative Brokers (QB) is a fully independent, CFTC-registered, agency-only broker that
specializes in optimal order placement in US interest rate futures. QB’s goal is to minimize market impact (slippage)
on CME Eurodollar and Treasury futures orders, including outright, spread & butterfly transactions through
algorithmic execution. QB is headquartered in midtown Manhattan, New York, and is a National Futures
Association member. www.quantitativebrokers.com
Melanie Cristi, 646-293-1800